Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1661
Annualized Std Dev 0.2649
Annualized Sharpe (Rf=0%) -0.6270

Row

Daily Return Statistics

Close
Observations 3562.0000
NAs 1.0000
Minimum -0.2532
Quartile 1 -0.0084
Median -0.0010
Arithmetic Mean -0.0006
Geometric Mean -0.0007
Quartile 3 0.0064
Maximum 0.1414
SE Mean 0.0003
LCL Mean (0.95) -0.0011
UCL Mean (0.95) 0.0000
Variance 0.0003
Stdev 0.0167
Skewness -0.5636
Kurtosis 20.8841

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0127
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.9569
Historical VaR (95%) -0.0233
Historical ES (95%) -0.0385
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0236
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-15 NA -0.9569 3102 3097 NA
2008-10-28 2008-11-04 2008-11-19 -0.1820 17 6 11
2008-03-11 2008-09-19 2008-10-06 -0.1764 146 135 11
2008-10-10 2008-10-13 2008-10-24 -0.1339 11 2 9
2007-08-16 2007-10-09 2007-11-21 -0.1181 69 38 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.6 0.4 -0.1 -0.1 -0.8 0.7 -0.7 -1 -1.6 3.7 0 0.9 0.8
2008 -2.4 2.5 -3.3 -1.9 -0.1 -0.1 -0.2 1.2 1.5 -4.4 11.6 -2.5 0.9
2009 1.8 1 -1.6 -0.3 -3.7 -1.6 0.4 2.4 3.3 3 -1.7 1.5 4.3
2010 -1.2 -2.3 -0.9 3 3.2 0.7 -0.1 -4 -0.6 0.6 -2.2 0.7 -3.4
2011 -2.4 1.9 -0.3 -0.3 3.2 -1.5 0.4 2.2 3 3.2 0.8 0.7 11.3
2012 -2.2 -0.5 0.2 0 3 -2.9 1.7 -0.4 -0.3 -1.3 0.2 -1.9 -4.4
2013 -0.8 -0.8 1.2 2.2 1.1 -1.6 -1.4 1.5 -1 0.4 0.1 -0.2 0.8
2014 0.8 0.4 -1.3 0.2 0.4 -1.1 0.3 -0.7 1.3 -1.5 1.5 0.7 1
2015 2.1 0.4 0 -0.7 -0.4 -0.2 -0.5 2.7 0.2 0.4 -0.6 1.3 4.9
2016 0.4 -2.1 -0.5 0.9 -0.7 -0.3 0 -0.1 -1.1 1.3 0.5 0.4 -1.4
2017 0 -1.9 -0.3 -0.5 -1.9 0.1 -0.2 -0.5 -0.3 0.6 0.5 0.7 -3.6
2018 -0.4 0.3 -1 -0.4 -0.7 0.1 0.1 -0.4 1.4 -2.2 -0.5 -0.8 -4.6
2019 -0.2 -0.9 -1.1 1 1.4 -0.3 1.5 0.2 1.9 -1.7 0.6 -0.1 2.2
2020 2.1 1.4 6.9 3.8 -1 0.9 1 -1.2 -1.6 1.3 -0.9 0.2 13.3
2021 -2.4 -3.5 -0.7 NA NA NA NA NA NA NA NA NA -6.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-01-25  281. SPY    142. -0.0117  -0.002    0.0045   0.0348    0.124    0.243    0.256 GLD    64.1 -4.20e-3   0.0289
2 2007-01-26  283. SPY    142. -0.0007  -0.0046   0.01     0.031     0.122    0.227    0.252 GLD    64.1  6.00e-4   0.0175
3 2007-01-29  279. SPY    142. -0.0008  -0.0023   0.0033   0.0267    0.115    0.239    0.251 GLD    63.8 -5.10e-3   0.0167
4 2007-01-30  276. SPY    143.  0.0052  -0.0001   0.002    0.0289    0.111    0.260    0.254 GLD    64.2  7.10e-3  -0.0002
5 2007-01-31  275. SPY    144.  0.0067  -0.0014   0.0108   0.0423    0.119    0.267    0.304 GLD    64.8  9.50e-3   0.0078
6 2007-02-01  273. SPY    145.  0.006    0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  6.00e-3   0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart